Assuming you're in the US or Canada, which I really shouldn't assume...
In general, you want the cables to show, so you don't want a fuzzy or bumpy yarn. Something with a firm body, not too slippery, is a good place to start. For your first cabled project, light colors will be easier. It helps if the yarn will put up with being frogged, just in case of mistakes (not that I've ever made any...)
Something that won't felt is also good, so if you want to use wool, look for some labeled "superwash." (Caution: if you're digging through a bin of Cascade 220, which is an old standard worsted-weight wool, make sure ALL the skeins you get are superwash--you can't tell by feel, only by the labels!) If you want to use acrylic, there are a lot of choices. While Caron Simply Soft is wonderful for a lot of things, it's a little frustrating for cables because it's so slick. Red Heart Super Saver is too harsh for a lot of people (I like it, but that's just me.) Red Heart With Love works for a lot of people, and so does some of the mid-priced Lion Brand worsted.
What does the pattern suggest? If it's a yarn you can't get, afford or use, substitution is almost always possible.